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(Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate
Lombardi, Marco J.; Sgherri, Silvia - 2007
Following the 2000 stockmarket crash, have US interest rates been held "too low" in relation to their natural level? Most likely, yes. Using a structural neo-Keynesian model, this paper attempts a real-time evaluation of the US monetary policy stance while ensuring consistency between the...
Persistent link: https://www.econbiz.de/10011604840
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Predicting real exchange rates from real interest rate differentials and net foreign asset stocks: evidence for the mark/dollar parity
Meier, Carsten-Patrick - 1999
When nontraded goods prices are accounted for consistently and genuine stock data on bilateral foreign asset holdings is employed, a modified sticky-price exchange rate model by far outperforms the benchmark random walk-model in empirically forecasting the D-mark/dollar parity out of sample....
Persistent link: https://www.econbiz.de/10010265449
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Do real interest rates converge? Evidence from the European Union
Arghyrou, Michael G.; Gregoriou, Andros; Kontonikas, … - 2007
We test for real interest rate convergence in the EU25 area. Our contribution is twofold: first, we account for the previously overlooked effects of structural breaks on real interest rate differentials. Second, we test for convergence against the EMU average. For the majority of our sample...
Persistent link: https://www.econbiz.de/10010322794
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Exchange-Rate and Interest-Rate Driven Competitive Advantages in the EMU
Andrén, Niclas; Oxelheim, Lars - 2002
Real exchange and interest rates may still fluctuate inside the EMU and give rise to changes in competitiveness. We find, in contrast to what is generally expected, no convergence in these variables after the introduction of the euro. On the contrary, a divergence is found that is extraordinary...
Persistent link: https://www.econbiz.de/10010335179
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Liquidity and real equilibrium interest rates: a framework of analysis
Stracca, Livio - 2005
This paper proposes a general equilibrium model with heterogeneous households and a financial market where each financial instrument provides liquidity services in addition to enabling a transfer of purchasing power over time. Importantly, liquidity services may be asymmetric according to...
Persistent link: https://www.econbiz.de/10011604588
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Why are Real Interest Rates in New Zealand so High? Evidence and Drivers
Labuschagne, Natalie; Vowles, Polly - 2010
New Zealand real interest rates have on average over the past two decades been high relative to most other countries in the Organisation for Economic Co-operation and Development (OECD). This paper argues that New Zealand's relatively high interest rates are currently the outcome of domestic...
Persistent link: https://www.econbiz.de/10012115624
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Mr. Wicksell and the global economy: What drives real interest rates?
Brzoza-Brzezina, Michal; Crespo Cuaresma, Jesus - 2007
We use a Bayesian dynamic latent factor model to extract world, regional and country factors of real interest rate series for 22 OECD economies. We find that the world factor plays a privileged role in explaining the variance of real rates for most countries in the sample, and accounts for the...
Persistent link: https://www.econbiz.de/10010293383
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Market power and merger control in South Africa
Kreuser, Friedrich; Kilumelume, Michael; Burger, Rulof P. - 2024
We estimate structural, materials, and labour markups for the South African economy at the three-digit industry level … for 2012-19. The fall in structural labour and materials markups found for the numerical majority of industries are … smaller downward shifts. We show that materials-based markups are increasing over this period. Upward markup pressure in …
Persistent link: https://www.econbiz.de/10014548600
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Who is in the driver's seat? Markups, markdowns, and profit sharing in the car industry
Hahn, Nadine - 2024
I develop a general framework for markup and markdown estimation that allows for profit sharing along value chains without making assumptions on conduct between vertically related firms. I derive the conditions under which the markup and markdown estimates relate to the firms' equilibrium...
Persistent link: https://www.econbiz.de/10014633238
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Profits and markups during the post-COVID-19 inflation shock in the U.S. economy: a firm-level lens
Davis, Leila - In: European Journal of Economics and Economic Policies: … 21 (2024) 2, pp. 309-330
In this paper, I use firm-level data from Compustat to document the evolution of markups among listed U.S. non … obfuscates that firms with low pre-pandemic markups command notable markup growth in both 2021 and 2022. Third, I document key …
Persistent link: https://www.econbiz.de/10015077197